Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3429 |
| Annualized Std Dev | 0.6259 |
| Annualized Sharpe (Rf=0%) | -0.5478 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3557.0000 |
| NAs | 1.0000 |
| Minimum | -0.3391 |
| Quartile 1 | -0.0146 |
| Median | -0.0018 |
| Arithmetic Mean | -0.0009 |
| Geometric Mean | -0.0017 |
| Quartile 3 | 0.0126 |
| Maximum | 0.3573 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0022 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0016 |
| Stdev | 0.0394 |
| Skewness | -0.0687 |
| Kurtosis | 14.7673 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0279 |
| Gain Deviation | 0.0325 |
| Loss Deviation | 0.0314 |
| Downside Deviation (MAR=210%) | 0.0323 |
| Downside Deviation (Rf=0%) | 0.0283 |
| Downside Deviation (0%) | 0.0283 |
| Maximum Drawdown | 0.9993 |
| Historical VaR (95%) | -0.0500 |
| Historical ES (95%) | -0.0988 |
| Modified VaR (95%) | -0.0547 |
| Modified ES (95%) | -0.0547 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-15 | NA | -0.9993 | 3102 | 3097 | NA |
| 2008-01-22 | 2008-09-19 | 2008-10-09 | -0.5043 | 183 | 169 | 14 |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.4484 | 17 | 6 | 11 |
| 2007-08-16 | 2007-10-05 | 2007-11-26 | -0.3265 | 71 | 36 | 35 |
| 2008-10-10 | 2008-10-13 | 2008-10-15 | -0.3028 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.2 | -1.8 | 1.6 | 0 | 1.2 | -1.8 | -3.8 | -4.4 | 6.7 | -3.3 | -1.5 | -7.6 |
| 2008 | -6.6 | 3.4 | -9.5 | -4.8 | 1.2 | -0.6 | -0.6 | 1.2 | 1.8 | -12.4 | 35.7 | -9.7 | -7.8 |
| 2009 | 6.5 | 2.5 | 1.8 | 6.6 | -8.4 | -2.2 | -0.1 | 10.3 | 8.5 | 3.8 | -2.5 | 3.9 | 33.4 |
| 2010 | -3.3 | -1.8 | -1.3 | 6.3 | 4.2 | 0.3 | -0.9 | -6.3 | -1.1 | -1.5 | -1.8 | 0.3 | -7.1 |
| 2011 | -1 | 5.6 | -0.8 | 0.9 | 5.6 | -3.5 | 2.3 | 3.3 | 5.5 | 6.5 | 2 | 0.9 | 30.2 |
| 2012 | -1.6 | -1.1 | -1.5 | -1.8 | 5.2 | -4.5 | 0.4 | -0.5 | 1.2 | -0.1 | -1 | -1.8 | -7.1 |
| 2013 | -1 | -0.3 | -0.6 | 1.2 | 1.8 | 0.8 | 0.9 | 1.4 | -3 | -1.1 | 1.9 | 0.8 | 2.6 |
| 2014 | -0.8 | -1.4 | -0.8 | -1.5 | -1 | -0.6 | 0.3 | -1.1 | -0.2 | -1.6 | 0.6 | 3.1 | -5 |
| 2015 | 3.5 | -1.6 | -0.1 | -1.4 | -2.1 | -2.9 | -1.3 | 3.8 | -0.9 | 1.6 | -2.4 | 1.4 | -2.7 |
| 2016 | 0 | -5.3 | -0.2 | 1.7 | -0.1 | -0.1 | -0.7 | 0.4 | 1 | 4 | 3 | -1.9 | 1.5 |
| 2017 | 2.1 | 0.7 | -1.1 | -1.4 | -1.1 | 0.2 | -0.7 | 0 | -0.2 | -0.1 | -0.4 | 0.1 | -2 |
| 2018 | 3.5 | 0.7 | -0.2 | -1.4 | -0.8 | -0.4 | -0.9 | -0.5 | 1.8 | -0.8 | -1.6 | -0.3 | -0.8 |
| 2019 | 1.3 | 0.4 | 0.1 | 0 | -1.1 | 0.4 | 0.2 | -0.2 | 1.9 | 0.2 | 1 | -1.5 | 2.7 |
| 2020 | 2.3 | 4.5 | 12.9 | 6.7 | -4.7 | -4.5 | 0.3 | -0.3 | -3.9 | 1.2 | -2.4 | -2 | 9.2 |
| 2021 | -4.8 | -0.8 | 2.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 4122. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 4088. SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 4079. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-06 3968. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
5 2007-02-07 3833. SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
6 2007-02-08 3900. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
